Return to results
Presentations at an Academic or Professional conference (2017), 49èmes Journées de Statistique (Jds2017)

Dynamique et ruptures dans les relations entre les prix des biocarburants et du pétrole sur le marché européen

The paper aims at explaining the major drivers of biodiesel market price in the context of EU environmental policy implemented since 2006. The biodiesel prices are impacted by both the EU policy and rapeseed and oil prices which fluctuated a lot over the last decade. An econometric analysis is performed using monthly data from November 2006 to January 2016. However, tests for structural breaks (Zivot and Andrews, Bai and Perron) point out several changes in the prices behavior. This leads to estimate a regime-switching model which reveals two main regimes for the biodiesel price pattern. The structural break dates detected with the tests correspond to the regime changes and the economic analysis of biodiesel price pattern. When oil price is high, biodiesel, rapeseed and diesel oil prices are related mainly driven by oil price. When oil price is low, biodiesel price is mostly related to the rapeseed price due to EU regulation requiring the blending of biodiesel and diesel oil.

LANTZ, F., INDJEHAGOPIAN, J.P. and DECLERCK, F. (2017). Dynamique et ruptures dans les relations entre les prix des biocarburants et du pétrole sur le marché européen. In: 49èmes Journées de Statistique (Jds2017).

Keywords : #Biocarburants, #Changements-Structurels, #Modèles-De-Chaîne-De-Markov, #Pétrole